If you decide to download a distribution, the file you need to download will end in .iso. Choose 32 or 64 bit as desired and download the file. Next you have to burn an image of the .iso file onto a CD or DVD. Linux CD/DVD burners can burn images but many Windows burners don't offer the burn image function.
If you have a Windows installation on the drive where Linux is to be installed, be careful that you do not wipe Windows out when installing Linux. Not all Linux distributions offer to let you decide how much space Windows and Linux will have.
Some of our group members like to shrink the Windows partition to create free space before starting the linux installation. Vista and Windows 7 can shrink their own hard drive, however, you need to use another program to create free space in older versions. Parted Magic is a good one and a recent version of the .iso can be downloaded to do the job.
When you start the installation make sure that you select "install in free space". When the installation is complete and you restart your computer, you will have the choice to start Linux or Windows.